Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
From MaRDI portal
Publication:1926916
DOI10.1016/j.ejor.2012.04.004zbMath1253.91186MaRDI QIDQ1926916
Wuyi Ye, Xiaoquan Liu, Baiqi Miao
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.004
risk management; tail dependence; financial contagion; credit crunch; change point tests; Archimedean copula functions
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H15: Hypothesis testing in multivariate analysis
62F10: Point estimation
62H05: Characterization and structure theory for multivariate probability distributions; copulas
91G40: Credit risk
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